Dear all,
I have uploaded to CRAN a new package: tseriesChaos.
This is an early version (0.1) with basic tools for the explorative
analysis of nonlinear time series motivated by chaos theory. Until now,
the package is largely inspired by the TISEAN project (by Rainer Hegger,
Holger Kantz and Thomas Schreiber:
http://www.mpipks-dresden.mpg.de/~tisean/ ).
This version includes:
- Method of false nearest neighbours for the choice of the embedding
dimension.
- Tools for the estimation of the correlation dimension.
- Kantz algorithm for the estimation of the largest Lyapunov exponent.
- (naif) mutual information index estimation.
- Space-time separation plot.
- Recurrence plot.
- Simulation of noise-free continuous dynamic systems.
At the present time, algorithms are not too much optimized for speed, we
are working on optimizing the codes.
Future versions will (hopefully) include also code inspired from the
book of Chan and Tong (2001) (Chaos: A Statistical perspective) by
Springer as well as other contributions.
Checking was mainly done by comparing results with those available in
literature.
Any kind of feedback/help would be greatly appreciated.
Antonio, Fabio Di Narzo.